In your browser click on View then click on Source. This will open the default source code viewer for your browser. Then you will need to search for the name of the file you want to save. For example...

If you found a cool Shockwave file at: http://whatever/coolfile.html
And you want that Shockwave file from that site, view the page source and search for .swf somewhere in the source code. Once you find what you are looking for, keep that file name (and path) handy. In our example the file we are looking for is shockwave_file.swf

The next step is to take the original http://whatever/coolfile.html url and remove the coolfile.html and put the shockwave_file.swf in place. Like:

http://whatever/shockwave_file.swf

Take the above URL and put it into the Save Any File URL path box and click Save This File